How it unfolds, step by step
The setup
On this chart, the front series carries 100 units of open interest a fortnight before expiry. The next series is nearly empty at 8 units. The chart starts before expiry, with most open interest still in the front series.
What happens next
Across the chart the front series drains: 100 to 82 to 61 to 38 to 14 to 2. Over the same sessions the next series builds from 8 to 74. The combined total falls from 108 to 76. Growth in the next series replaces only part of the fall in the front series.
What it means — and does not
A chart of the expiring series alone shows open interest collapsing. In any other week that would be described as positions being unwound. Here the next series grows by 66 while the front series falls by 98. Some exposure may have moved forward, but combined open interest also falls. The counts alone cannot identify whether the same holders reopened their positions. The lesson is a rule about where to look, not a signal. During expiry week the change in open interest means nothing until the next series is on the same screen.
- Front series open interest (units)
- Next series open interest (units)
The front series falls from 100 to 2 while the next series rises from 8 to 74. Combined open interest falls from 108 to 76.
Show the underlying data
| Day | Front series open interest (units) | Next series open interest (units) |
|---|---|---|
| 1 | 100 | 8 |
| 2 | 99 | 10 |
| 3 | 97 | 13 |
| 4 | 96 | 15 |
| 5 | 94 | 19 |
| 6 | 91 | 24 |
| 7 | 88 | 30 |
| 8 | 82 | 38 |
| 9 | 71 | 48 |
| 10 | 61 | 57 |
| 11 | 38 | 66 |
| 12 | 14 | 72 |
| 13 | 2 | 74 |
What this does not establish
The rollover reading is refuted when the next series does NOT build. If the front series drains and the following one stays flat, the fall really is positions leaving rather than moving. The total across both series is the level that settles it. That total is the thing to watch. A genuine unwind and a heavy rollover look identical in the expiring contract, and completely different in the pair.
Things to check
4Is the next series on the same screen as the expiring one?
What is the total open interest across both, and is it holding up?
How many sessions remain? Is this the ordinary expiry-week drain?
Compare both expiry series before reading falling OI as traders leaving.
Common mistakes
2Reading a falling open interest in expiry week as an unwind, without checking whether the next series is building.
Comparing an expiring series' open interest against its own history, when the comparison that matters is against the series taking over from it.
Open interest in an expiring series collapses over the last five sessions. What do you know?
- Positions are being abandoned ahead of the expiry
- Nothing yet, until you look at the next series
- The market expects the level to fall
Show the answer
B. Nothing yet, until you look at the next series
Every open contract in an expiring series is settled or closed, so that fall happens every time regardless. Whether the exposure left or simply moved forward is only visible when the next series is on the same screen.
Frequently asked
3What is a rollover percentage?
The share of the expiring series' open interest that reappears in the next series rather than simply closing. It is a descriptive statistic about where positions went, not a prediction.
Does open interest always fall to zero at expiry?
In the expiring contract, yes. Every open contract is settled or closed at expiry, so its open interest ends at nothing by construction.
Does a high rollover mean the market is bullish?
No. Rollover says positions moved forward. It does not say which side of them did. Open interest counts each contract once, with a long matched against a short.